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Points to note
There exist systems of linear equations that
• Theoreticallyy have unique
q solution but
• Practically cannot be solved using a computer with the
given accuracy
Method of identification of such systems-
condition number
Determination of condition number
• Norm of a vector
• Norm of a matrix
• Condition number
Meaning of condition number
1
Detection of internal structure
Transmitter/receiver
vp(1)=2.564 km/s, vs(1) =2.190 km/s
flection.
2 x1 2 x2 2x 2x
tp (1)
( 2) , t s (11) ( 22)
vp vp vs vs
Reflection from the boundary
Equations
The system
(Forsythe, Malcolm and Moler, 1977)
2
Solution
Gaussian elimination with partial pivoting on a computer with =10, t=3:
Partial pivoting
0.780 0.563 x1 1.343 0.913 0.659 x1 1.572 0.913 0.659 x1 1.572
0.913 0.659 x 1.572 0.780 0.563 x 1.343 0
0.001 x2 0.000001
2 2
0.0019
r Ax b
0.0023
Determinant is very small: det(A)=0.000913
3
Counter-example
0.03 0.01 x1 0.04
The exact solution is x=(1, 1).
0.005 0.03 x2 0.035
However, the determinant of the matrix is even less than in the Example.
o
max |Au| 288
252
o
min |Au|
-0.04
4
Images of unit vectors for the
matrix from the Example
0.780 0.563
Unit vectors: A
o o
0.913 0.659
u=(cos , sin ), o
1 o 36
-6 72
v=Au min |Au|= 1.6*10 o
o 0
o
108 72
o 0.5 o
144 o 324
36
o
108
o o max |Au|= 1.48
180 0
0
1 -0.8 -0.4 0 0.4 0.8
o
o 288
216 o o
324 144 -0.5
o o
252 288
o
252
o -1
180
max |Au| 6
216
o
min |Au|
cond( A) or equivalently
or, equivalently, cond( A)
Ax
min Ax min
x0 x
x 1
(Here ||x|| denote a length of vector x.)
Matrices with high condition numbers are called ill-
conditioned, otherwise they are called well-conditioned.
Properties
5
Questions
What does it mean "high condition number"?
Is there a better (easier) way to compute the
condition number?
To answer these questions the notions of norm of vector and
norm of matrix are necessary.
Norm of a vector
Norm of a vector x is a real number ||x|| such that:
(i ) x 0 if x0
(ii ) 0 0
(iii ) cx c x for all scalars c
(iv) xy x y
n
x 1 xi
i 1
The most
common n
x
2
x2 i - Euclidian length
vector i 1
norms:
x max xi
i 1,, n
6
Examples
1
x 1 1 0 .1 3 1 5 .1
0.1
x x 2 1 0.01 9 1 3.32
3
1
x
max1, 0.1, 3, 1 3
Although these three norms are different, the results are of the
same order of magnitude. The chose of a particular norm is
dictated by the convenience to perform the analysis.
Norm of a matrix
A max Ax or equivalently
or, equivalently, A max
Ax
x 1 x0 x
7
Properties of matrix norm
For any norm
(i ) A 0 if A0
(ii ) 0 0
(iii ) cA c A for all scalars c
(iv) A B A B
Example 1
1 2 1 0.5
0 .5 3 0 1
A
0 1.5 0 1
2 1 1
3
1 2 1 0.5 4.5
0. 5 3 0 1 4.5
A max max 7
0 1.5 0 1 2.5
2 3 11 7
8
Example 2
1 2 1 0.5 1
0. 5 3 0 1 1
A , A 1 9.5, x , x 1 1111 4
0 1 .5 0 1 1
2 3 1 1
1
1 2 1 0 .5 1 1 .5
0 . 5 3 0 1 1 2 .5
Ax
0 1.5 0 1 1 0 .5
2 3 1 1 1 3
Example 3
1 2 1 0.5 0
0.5 3 0 1 1
A , A 1 9.5, x , x 1 1
0 1.5 0 1 0
2 1 1 0
3
1 2 1 0.5 0 2
0.5 3 0 1 1 3
Ax
0 1.5 0 1 0 1.5
2 1 1 0 3
3
9
Condition number via matrix
norm
A1x y 1
Let y=A-1x, x=Ay. Then A1 max max
x 0 x y 0 Ay Ay
min
y 0 y
Ay
max
y 0 y
cond( A) A A1
Ay
min
y 0 y
The Counter-example
0.03 0.01 35.3 11.8
A , A1 , A 1 0.04, A1 47.1
0.005 0.03 5.88 35.3 1
cond( A) 1.884
10
Estimation of errors in solving
linear algebraic equations 1
Ax=b
1. Error in the right part A(x+x)=b+b
x is the error in the solution, x. The error satisfies the system Ax=b
x A1b x A1 b , Ax b A x b
x b b
A1 A Cond ( A)
x b b
Ax b Ax b AA1b
x b AA1b A
Cond
C d( A) Cond
C d( A) Cond
C d( A)
x b b A
11
Structure of this chapter
Ill-conditioned systems
and matrices
Condition number
Condition number
Matrix norm Vector norm
via matrix norm
Condition number as
error multiplicator
Summary
Amongst systems of linear algebraic equations there exist
such that amplify errors in the matrix or right hand parts -
ill-conditioned systems
In 2D
2D, ill-conditioned systems are recognised by
slenderness of the image of a circle. Generally they are
characterised by large condition number.
The condition number is defined as
max Ax
x 1
cond( A)
min Ax
x 1
P
Properties
i
• If detA=0, then cond(A)=; cond(A)1; cond(cA)=cond(A)
Method of computation – through matrix norm
Meaning – multiplication factor of errors in the right-hand
part or the system.
12